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Table 4 Signaling effect of ESOPs on crash risk

From: Employee stock ownership plan and stock price crash risk

Variable DEPS Punish Lawsuit
NCSKEW (1) DUVOL (2) NCSKEW (3) DUVOL (4) NCSKEW (5) DUVOL (6)
ESOPi,t-1 × DEPSi,t −0.002b − 0.002c     
(−2.28) (−3.52)     
ESOP i,t-1 ×Punish i,t    −0.008b −0.015b   
   (−2.51) (−1.98)   
ESOP i,t-1 ×Lawsuit i,t      −0.005c −0.010b
     (−3.01) (−2.27)
ESOP i,t-1 −0.027b −0.04b − 0.027b −0.044c − 0.023b −0.035b
(−2.13) (− 2.57) (− 2.17) (−3.09) (−2.01) (− 2.05)
DEPS i,t 0.002a 0.002a     
(1.93) (1.68)     
Punish i,t    0.059b 0.019b   
   (1.91) (2.48)   
Lawsuit i,t      0.066a 0.040c
     (1.82) (3.48)
Dturn i,t-1 0.011 0.008 0.008 0.007 0.008 0.007
(1.47) (1.51) (1.09) (1.22) (1.11) (1.23)
Hret i,t-1 0.725c 0.54c 0.723c 0.527c 0.724c 0.527c
(11.85) (11.21) (12.21) (11.21) (12.24) (11.21)
Sigma i,t-1 −3.676a −1.761 −2.902 −1.239 −3.092 − 1.343
(−1.70) (− 1.10) (− 1.38) (−0.79) (− 1.47) (− 0.86)
MB i,t-1 0.023c 0.011b 0.016c 0.009c 0.016c 0.009c
(3.67) (2.42) (3.69) (2.90) (3.74) (2.93)
Size i,t-1 −0.004 − 0.023a − 0.012 − 0.024b − 0.012 − 0.023a
(− 0.26) (−1.83) (− 0.75) (− 1.97) (− 0.75) (− 1.96)
Lev i,t-1 0.158a 0.061 0.118 0.039 0.114 0.036
(1.91) (0.99) (1.50) (0.68) (1.46) (0.62)
ROA i,t-1 −0.033c − 0.034c − 0.028c − 0.031c −0.027c − 0.03c
(−5.04) (−6.96) (−4.40) (−6.49) (−4.27) (−6.38)
DA i,t-1 −0.127 −0.085 − 0.158 − 0.113 − 0.163 −0.116
(−1.16) (−1.05) (− 1.49) (− 1.44) (− 1.53) (− 1.48)
NCSKEW i,t-1 0.093c   0.09c   0.09c  
(5.95)   (5.88)   (5.87)  
DUVOL i,t-1   0.105c   0.103c   0.103c
  (6.21)   (6.22)   (6.20)
Intercept 0.164 0.626b 0.304 0.615b 0.296 0.606b
(0.41) (2.09) (0.80) (2.18) (0.78) (2.15)
Fix_ind Yes Yes Yes Yes Yes Yes
Fix_time Yes Yes Yes Yes Yes Yes
Adj-R 2 0.1492 0.1771 0.1503 0.1768 0.1509 0.1773
No. of obs. 4634 4634 4832 4832 4832 4832
  1. Notes. This table presents results of the relationship between ESOPs and crash risk when firms’ negative information is disclosed, estimated by the equation:
  2. \( {CrashRisk}_{i,t}={\alpha}_0+{\alpha}_1\times {ESOP}_{i,t-1}\times {Signal}_{i,t-1}+{\alpha}_2\times {ESOP}_{i,t-1}+{\alpha}_3\times {Signal}_{i,t-1}+{\alpha}_4\times Control\kern0.3em {Variables}_{t-1}+{\varepsilon}_{i,t}, \)
  3. The t-statistics, reported in parentheses, are based on standard errors clustered by both firm and time. Time and industry fixed effects are included. Here a, b, and c indicate statistical significance at the 10%, 5%, and 1% levels, respectively